Power maximization and size control in heteroskedasticity and autocorrelation robust tests with exponentiated kernels
DOI10.1017/S0266466611000077zbMATH Open1442.62205OpenAlexW1487924164MaRDI QIDQ3108569FDOQ3108569
Authors: Yixiao Sun, Peter C. B. Phillips, Sainan Jin 
Publication date: 4 January 2012
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0266466611000077
Recommendations
- HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTING USING BANDWIDTH EQUAL TO SAMPLE SIZE
- A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
- Testing-optimal kernel choice in HAR inference
- On size and power of heteroskedasticity and autocorrelation robust tests
- Further results on size and power of heteroskedasticity and autocorrelation robust tests, with an application to trend testing
Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Nonparametric robustness (62G35) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)
Cites Work
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- Consistent Covariance Matrix Estimation for Dependent Heterogeneous Processes
- Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices
- Optimal Bandwidth Selection in Heteroskedasticity–Autocorrelation Robust Testing
- An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
- Automatic Lag Selection in Covariance Matrix Estimation
- Simple Robust Testing of Regression Hypotheses
- HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTING USING BANDWIDTH EQUAL TO SAMPLE SIZE
- Heteroskedasticity-Autocorrelation Robust Standard Errors Using The Bartlett Kernel Without Truncation
- A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
- The Error in Rejection Probability of Simple Autocorrelation Robust Tests
- EDGEWORTH EXPANSIONS FOR SPECTRAL DENSITY ESTIMATES AND STUDENTIZED SAMPLE MEAN
- Long run variance estimation and robust regression testing using sharp origin kernels with no truncation
Cited In (9)
- A simple and trustworthy asymptotic \(t\) test in difference-in-differences regressions
- Testing-optimal kernel choice in HAR inference
- Controlling the size of autocorrelation robust tests
- Robust trend inference with series variance estimator and testing-optimal smoothing parameter
- Further results on size and power of heteroskedasticity and autocorrelation robust tests, with an application to trend testing
- On size and power of heteroskedasticity and autocorrelation robust tests
- Long run variance estimation and robust regression testing using sharp origin kernels with no truncation
- Is Newey-West optimal among first-order kernels?
- A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
This page was built for publication: Power maximization and size control in heteroskedasticity and autocorrelation robust tests with exponentiated kernels
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3108569)
